Shannon entropy to quantify complexity in the financial market
Statistical Finance
2023-07-18 v1 Statistical Mechanics
Abstract
In this paper we study the complexity in the information traffic that occurs in the peruvian financial market, using the Shannon entropy. Different series of prices of shares traded on the Lima stock exchange are used to reconstruct the unknown dynamics. We present numerical simulations on the reconstructed dynamics and we calculate the Shannon entropy to measure its complexity
Keywords
Cite
@article{arxiv.2307.08666,
title = {Shannon entropy to quantify complexity in the financial market},
author = {Alexis Rodriguez Carranza and José Luis Ponte Bejarano and Juan Carlos Ponte Bejarano and Segundo Eloy Soto Abanto},
journal= {arXiv preprint arXiv:2307.08666},
year = {2023}
}